Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Event-Driven

Gansu Huangtai Wine Mktg Ind Co., / Event-Driven

<ul>
<li>The review period ended on 31 October, the changes should be announced on 29 November and will be effective after the close of trading on 13 December.</li>
<li>There could be 2 adds for the CSI Liquor Index and 4 adds/ 2 deletes for the CSI Alcoholic Drink Index.</li>
<li>Some stocks could be added to both indices, increasing the flow and impact. Based on the passive assets tracking the indices, the estimated round-trip trade is CNY 3.4bn (US$477m).</li>
</ul>


The review period ended on 31 October, the changes should be announced on 29 November and will be effective after the close of trading on 13 December.
There could be 2 adds for the CSI Liquor Index and 4 adds/ 2 deletes for the CSI Alcoholic Drink Index.
Some stocks could be added to both indices, increasing the flow and impact. Based on the passive assets tracking the indices, the estimated round-trip trade is CNY 3.4bn (US$477m).


CSI Liquor/ Alcoholic Drink Index Rebalance Preview: Getting Tipsy with It

<ul>
<li>There could be 17 changes at the December rebalance with the Industrials and Materials sectors could gaining 2 spots each and the Information Technology sector losing 3 spots.</li>
<li>Estimated one-way turnover of 3% at the December rebalance leading to a one-way trade of CNY 30.2bn (US$4.3bn). There are 14 stocks with over 2x ADV to trade.</li>
<li>The forecast adds have outperformed the forecast deletes over the last month despite rising markets and a wall of money flowing into <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX)</a> ETFs.</li>
</ul>


There could be 17 changes at the December rebalance with the Industrials and Materials sectors could gaining 2 spots each and the Information Technology sector losing 3 spots.
Estimated one-way turnover of 3% at the December rebalance leading to a one-way trade of CNY 30.2bn (US$4.3bn). There are 14 stocks with over 2x ADV to trade.
The forecast adds have outperformed the forecast deletes over the last month despite rising markets and a wall of money flowing into Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX) ETFs.


CSI300 Index Rebalance Preview: Rising Markets and ETF Creations Take Round-Trip Trade to US$8.5bn

<ul>
<li>With the review period complete, we forecast 8 changes for the <a href="https://www.smartkarma.com/entities/chinext-index" target="_blank" data-smartkarma-citation="entities:25483:1" rel="noopener">ChiNext Index (SZ399006 INDEX)</a> and 5 changes for the ChiNext 50 Index in December.</li>
<li>The largest flows will be on stocks that are adds or deletes for both indices - and there are a few of those. Plus some overlaps with the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI500 Index</a>.</li>
<li>With multiple index inclusions in December, <a href="https://www.smartkarma.com/entities/jiangsu-hoperun-software-co-ltd" target="_blank" data-smartkarma-citation="entities:3466:1" rel="noopener">Jiangsu Hoperun Software (300339 CH)</a> has a lot of stock to buy from passive trackers. There could be more buying in February and March.</li>
</ul>


With the review period complete, we forecast 8 changes for the ChiNext Index (SZ399006 INDEX) and 5 changes for the ChiNext 50 Index in December.
The largest flows will be on stocks that are adds or deletes for both indices - and there are a few of those. Plus some overlaps with the CSI500 Index.
With multiple index inclusions in December, Jiangsu Hoperun Software (300339 CH) has a lot of stock to buy from passive trackers. There could be more buying in February and March.


ChiNext/​​​ChiNext50 Index Rebalance Preview: Jiangsu Hoperun's Multiple Index Inclusions & Big Risk

<ul>
<li>With 95% of the review period now complete, we forecast 50 changes (the maximum permitted) for the <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI Smallcap 500 Index</a> at the close on 13 December.</li>
<li>We estimate a one-way turnover of 11% at the rebalance resulting in a one-way trade of CNY17.56bn (US$2.48bn). The Information Technology and HealthCare sectors gain at the expense of Industrials.</li>
<li>After drifting lower over the last couple of months, the forecast adds have outperformed the forecast deletes over the last couple of weeks. There should be more to go here.</li>
</ul>


With 95% of the review period now complete, we forecast 50 changes (the maximum permitted) for the CSI Smallcap 500 Index at the close on 13 December.
We estimate a one-way turnover of 11% at the rebalance resulting in a one-way trade of CNY17.56bn (US$2.48bn). The Information Technology and HealthCare sectors gain at the expense of Industrials.
After drifting lower over the last couple of months, the forecast adds have outperformed the forecast deletes over the last couple of weeks. There should be more to go here.


CSI 500 Index Rebalance Preview: 50 Changes; 11% Turnover; US$5bn Round-Trip Trade

Beijing United Information Tec / Event-Driven

<ul>
<li>With 95% of the review period now complete, we forecast 100 changes (the maximum permitted) for the CSI 1000 Index at the close on 13 December</li>
<li>We estimate a one-way turnover of 9.9% at the rebalance resulting in a one-way trade of CNY14.4bn (US$2.04bn). The Industrials sector could gain the most index spots.</li>
<li>The forecast adds have drifted lower versus the forecast deletes over the last few months. Part of that can be attributed to the inflows to ETFs tracking the CSI1000 Index.</li>
</ul>


With 95% of the review period now complete, we forecast 100 changes (the maximum permitted) for the CSI 1000 Index at the close on 13 December
We estimate a one-way turnover of 9.9% at the rebalance resulting in a one-way trade of CNY14.4bn (US$2.04bn). The Industrials sector could gain the most index spots.
The forecast adds have drifted lower versus the forecast deletes over the last few months. Part of that can be attributed to the inflows to ETFs tracking the CSI1000 Index.


CSI 1000 Index Rebalance Preview: 100 Changes; 10% Turnover; US$4bn Round-Trip Trade

China

CSI 500 index aims to comprehensively reflect the price fluctuation and performance of the small-cap companies in Shanghai and Shenzhen securities market. The index has a base value of 1000 as of December 31, 2004.

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

CSI Smallcap 500 Index - Shang (SH000905 INDEX EQUITY)

CSI Liquor/ Alcoholic Drink Index Rebalance Preview: Getting Tipsy with It

There could be 2 adds for the Liquor Index and 4 adds/2 deletes for the Alcoholic Drink Index. Estimated round-trip trade is CNY 3.4bn (US$477m)....

Brian Freitas

CSI300 Index Rebalance Preview: Rising Markets and ETF Creations Take Round-Trip Trade to US$8.5bn

There could be 17 changes in Dec. Estimated 1-way turnover is 3%; 1-way trade is US$4.3bn. There are 14 stocks with over 2x ADV to trade. The adds...

Brian Freitas

ChiNext/ChiNext50 Index Rebalance Preview: Jiangsu Hoperun's Multiple Index Inclusions & Big Risk

Review period ends today. We see 8 Chinext, 5 Chinext50 changes. Jiangsu Hoperun will have US$430m to buy, plus flows from CSI trackers, plus...

Brian Freitas

CSI 500 Index Rebalance Preview: 50 Changes; 11% Turnover; US$5bn Round-Trip Trade

There should be 60 changes in Dec. Estimated one-way turnover is 11% resulting in a one-way trade of CNY17.56bn (US$2.48bn). The forecast adds have...

Brian Freitas

CSI 1000 Index Rebalance Preview: 100 Changes; 10% Turnover; US$4bn Round-Trip Trade

There should be 100 changes in Dec. Estimated one-way turnover is 9.9% resulting in a one-way trade of CNY14.4bn (US$2.04bn). The forecast adds...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

CSI Liquor/ Alcoholic Drink Index Rebalance Preview: Getting Tipsy with It

There could be 2 adds for the Liquor Index and 4 adds/2 deletes for the Alcoholic Drink Index. Estimated round-trip trade is CNY 3.4bn (US$477m)....

Brian Freitas

CSI300 Index Rebalance Preview: Rising Markets and ETF Creations Take Round-Trip Trade to US$8.5bn

There could be 17 changes in Dec. Estimated 1-way turnover is 3%; 1-way trade is US$4.3bn. There are 14 stocks with over 2x ADV to trade. The adds...

Brian Freitas

ChiNext/​​​ChiNext50 Index Rebalance Preview: Jiangsu Hoperun's Multiple Index Inclusions & Big Risk

Review period ends today. We see 8 Chinext, 5 Chinext50 changes. Jiangsu Hoperun will have US$430m to buy, plus flows from CSI trackers, plus...

Brian Freitas

CSI 500 Index Rebalance Preview: 50 Changes; 11% Turnover; US$5bn Round-Trip Trade

There should be 60 changes in Dec. Estimated one-way turnover is 11% resulting in a one-way trade of CNY17.56bn (US$2.48bn). The forecast adds have...

Brian Freitas

CSI 1000 Index Rebalance Preview: 100 Changes; 10% Turnover; US$4bn Round-Trip Trade

There should be 100 changes in Dec. Estimated one-way turnover is 9.9% resulting in a one-way trade of CNY14.4bn (US$2.04bn). The forecast adds...

Brian Freitas

ChiNext/ChiNext50 Index Rebalance Preview: Jiangsu Hoperun's Multiple Index Inclusions & Big Risk